scientific article; zbMATH DE number 3950349

MaRDI QIDQ3720439zbMATH OpenFDO

Authors Alain Bensoussan

Publication date 1986

zbMATH Keywords

dynamic programmingmaximum principleNonlinear filteringpartial informationstochastic optimal controlsurvey

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Stochastic systems in control theory (general) (93E03) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cited in

(13)

• Stochastic control theory and operational research
• The probabilistic structure of controlled diffusion processes
• Applied stochastic analysis. Proceedings of the US-French workshop, Rutgers Univ., New Brunswick, NJ, USA, April 29 -- May 2, 1991
• A risk-sensitive maximum principle
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• scientific article; zbMATH DE number 1642349 (Why is no real title available?)
• Partially observable stochastic optimal control
• A direct method for solving stochastic control problems
• Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems
• Problemas de control estocastico con informacion incompleta que admiten un proceso suficiente
• Encounters with Martingales in Stochastic Control
• Controlled diffusion processes
• On some recent aspects of stochastic control and their applications

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